Title page for ETD etd-0430103-132754

Document Type thesis

Author Name Gao, Pan

URN etd-0430103-132754

Title Portfolio Construction and Risk Management: Practical Issues and Examples

Degree MS

Department Mathematical Sciences

Advisors
Arthur C. Heinricher, Advisor

Keywords
Finance
Risk Management
Portfolio Theory

Date of Presentation/Defense 2003-04-28

Availability unrestricted

Abstract
This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).

Files
gao.pdf

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Document Type	thesis
Author Name	Gao, Pan
URN	etd-0430103-132754
Title	Portfolio Construction and Risk Management: Practical Issues and Examples
Degree	MS
Department	Mathematical Sciences
Advisors	Arthur C. Heinricher, Advisor
Keywords	Finance Risk Management Portfolio Theory
Date of Presentation/Defense	2003-04-28
Availability	unrestricted
Abstract This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).
Files	gao.pdf